New penalty in information criteria for the ARCH sequence with structural changes (Q6548868)
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scientific article; zbMATH DE number 7858736
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| English | New penalty in information criteria for the ARCH sequence with structural changes |
scientific article; zbMATH DE number 7858736 |
Statements
New penalty in information criteria for the ARCH sequence with structural changes (English)
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3 June 2024
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AIC
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Brownian motion
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change point analysis
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heteroscedasticity
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model misspecification
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random walk
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statistical asymptotics
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TIC
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